It means LW has detected a corruption for some reason. The original file might be corrupt or the corruption occured during the downld process, or the original downld hash doesn't match the hash of the file you're downlding which can happen if the host changed the id3 tag of the song after you started to downld it.

To stop getting that error, set your Popups to default. Go to LW's menu bar, Tools>Options>View>Popups. So if LW does detect a corruption, next time it will warn you & ask you whether to continue or not.

As it is, you have previously ticked NO & then ticked Always use that answer. So to undo it, you need to set popup warnings to default.